The use of ARIMA, ANN and SVR models in time series hybridization with practical application

Ali, Noor Saleem Mohammed; Mohammed, Firas Ahmed

doi:10.22075/ijnaa.2022.7168

The use of ARIMA, ANN and SVR models in time series hybridization with practical application

Document Type : Research Paper

Authors

Noor Saleem Mohammed Ali

Firas Ahmed Mohammed

College of Administration and Economics, Department of Statistics, University of Baghdad, Iraq

10.22075/ijnaa.2022.7168

Abstract

Forecasting is one of the important topics in the analysis of time series, as the importance of forecasting in the economic field has emerged in order to achieve economic growth. Therefore, accurate forecasting of time series is one of the most important challenges that we seek to make the best decision, the aim of the research is to suggest employing hybrid models to predict daily crude oil prices. The hybrid model consists of integrating the linear component, which represents Box Jenkins models, and the non-linear component, which represents one of the methods of artificial intelligence, which is the artificial neural network (ANN), support vector regression (SVR) algorithm and it was shown that the proposed hybrid models in the prediction process when conducting simulations for the time series and for different sample sizes and when applying them on the daily crude oil price data, it was more efficient than the single models, as the comparison between the single models and the proposed hybrid models was done by means of the comparison scale, the mean square error (MSE), the results showed that the proposed hybrid models gave more accurate and efficient results, in addition to its ability to predict crude oil prices well.

Keywords

ARIMA

Artificial Neural Network

Time Series Forecasting

Support Vector Regression

Hybrid Model

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